Background: It is not always clear whether physical activity is causally related to health outcomes, or whether the associations are induced through confounding or other biases. Randomized controlled trials of physical activity are not feasible when outcomes of interest are rare or develop over many years. Thus, we need methods to improve causal inference in observational physical activity studies. Methods: We outline a range of approaches that can improve causal inference in observational physical activity research, and also discuss the impact of measurement error on results and methods to minimize this. Results: Key concepts and methods described include directed acyclic graphs, quantitative bias analysis, Mendelian randomization, and potential outcomes approaches which include propensity scores, g methods, and causal mediation. Conclusions: We provide a brief overview of some contemporary epidemiological methods that are beginning to be used in physical activity research. Adoption of these methods will help build a stronger body of evidence for the health benefits of physical activity.